You can see the files if you go to the transfer screen and click on the button that says "Open Incoming Files Folder"
This path is also shown when you go to
settings > File Transfers at the top of the page.
There's also a button to change it to wherever you like and in fact I'd recommend changing it.
If I remember correctly the default is under C:\Documents and Settings\username\My Documents\something.
Since that path is rather long it might give you troubles with very long file names as the character lenght of the path + filename is restricted.
A good path would be c:\downloads for instance - or even better if you have a second drive or partition put it on d:\downloads or wherever you like
